处理SEAR(1)模型的升维方法

A RISING DIMENSION METHOD USED TO HANDLE SEAR (1) MODELS

本文讨论了一类广义非正态时间序列模型——季节性新指数自回归模型SEAR(1),利用升维的方法将其化为一个随机系数的平稳自回归模型,在此基础上给出了模型参数的相容估计。

This paper discussed a type of generalized non-normal time series models. It shows that SEAR (1) model is equivalent, to multi-dimensional stationary AR (1) model with random coefficients. The estimations of parameters of SEAR (1) are given with the aid of AR (1) model.